Published May 18, 2022
| Version v1
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CMS Cliquet Option Model
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Description
A CMS cliquet option has two legs: One leg of this deal is based on (regular) floating rates. The other leg links to CMS swap rates. Due to the “set-in-arrear” feature in the structured leg, convexity and timing adjustments have to be considered.
Notes
https://osf.io/6dn54/download
Files
cmsCliquet.pdf
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(166.7 kB)
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